89 lines
2.4 KiB
Go
89 lines
2.4 KiB
Go
package llmjob
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import (
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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/core"
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"github.com/banbox/banbot/strat"
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ta "github.com/banbox/banta"
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"math"
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)
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func J5115(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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fastPeriod := pol.DefInt("fastPeriod", 11, core.PNorm(3, 15))
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maRate := pol.Def("maRate", 4.4, core.PNorm(2.0, 8.0))
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atrPeriod := pol.DefInt("atrPeriod", 14, core.PNorm(7, 30))
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slMultiplier := pol.Def("slMultiplier", 1.3, core.PNorm(1.0, 5.0))
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// 计算长期均线周期
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longPeriod := int(float64(fastPeriod) * maRate)
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// 确保预热足够长以覆盖所有指标
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warmup := longPeriod + atrPeriod + 50
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return &strat.TradeStrat{
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Name: "Moving-Average-Convergence-Momentum-Cloud-Strategy",
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WarmupNum: warmup,
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HedgeOff: true, // 单向持仓
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DrawDownExit: false,
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RunTimeFrames: []string{"8h"},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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close := e.Close
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// 计算SMA
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maShort := ta.SMA(close, fastPeriod)
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maLong := ta.SMA(close, longPeriod)
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cross := maShort.Cross(maLong)
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// 计算ATR用于止损
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atr := ta.ATR(e.High, e.Low, close, atrPeriod)
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atrVal := atr.Get(0)
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// RSI仅用于展示，不参与信号过滤
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_ = ta.RSI(close, 14) // 保留调用但不用于条件判断
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currentPrice := close.Get(0)
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if math.IsNaN(currentPrice) || math.IsNaN(atrVal) {
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return
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}
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// 买入信号：SMA上穿（无RSI过滤）
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if cross == 1 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Buy",
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StopLossVal: atrVal * slMultiplier,
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StopLossTag: "atr_sl",
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})
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s.CloseOrders(&strat.ExitReq{
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Tag: "ExitShort",
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Dirt: core.OdDirtShort,
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})
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}
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// 卖出信号：SMA下穿
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if cross == -1 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "sell",
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Short: true,
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StopLossVal: atrVal * slMultiplier,
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StopLossTag: "atr_sl",
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})
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s.CloseOrders(&strat.ExitReq{
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Tag: "exitLong",
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Dirt: core.OdDirtLong,
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})
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}
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// 可选：计算并保留其他指标用于分析或未来扩展
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// bbU, bbM, bbL := ta.BBANDS(close, 20, 2, 2)
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// tenkan := ta.SMA(ta.HL2(e.High, e.Low), 9)
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// kijun := ta.SMA(ta.HL2(e.High, e.Low), 26)
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// senkouA := ta.SMA(ta.Add(tenkan, kijun).Div(2), 26)
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// senkouB := ta.SMA(ta.HL2(e.High, e.Low), 52)
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// momentum := close.Sub(close.Back(1))
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// roc := close.Sub(close.Back(12)).Div(close.Back(12)).Mul(100)
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},
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}
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}
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